This is CBOE Equity Put Call Ratio (PCR) and the total number of Calls and Puts. The PCR is smoothed by 10 & 20 period(day) Simple Moving Average (SMA). Going into the dip of Oct 2008, the volume of calls dropped while puts were "put on". The 10 SMA of PCR jumped.
The call activity increased in Jan 09 and again swooned in the middle of March.
Things have been going on pretty sideways for last few weeks. The PCR is at the lowest point of the data set. Meaning overall there is hardly any fear.
PCR is best used as a contrarian sentiment indicator but mostly gives the rear view.
Lets dig deeper into the latest time frame in the next chart.
Here we have 10/20 SMA of PCR along with S&P 500 closing price divided by 100 (SPX/100) on the right scale.
In the last three trading sessions the CBOE Equity data is as follows:
date--- Call volume--- Put Volume--- PCR
8/28--- 1794424--- 1007562--- 0.56
8/31--- 1280282---- 807063--- 0.63
9/1---- 1822353--- 1247665--- 0.68
Notice the jump in volume on 9-1-09. Also note that the PCR has not moved much even after a sell off on apparently good news.
Investors are not running for the exits and buying a whole lot more puts. Although VIX jumped since yesterday.
Does it mean that the investors are not taking this sell-off seriously?
That is what the PCR is telling today.
Lets keep an eye on Put volume in the next few sessions.
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